Research
Notes from the desk.
Informal, occasional writing on market microstructure, machine learning, and trading infrastructure. We publish here when we have something worth saying.
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Perpetuals on things that close
You can trade a perpetual on NVDA at three in the morning on a Sunday. Whether that price knows anything about Monday's open depends less on the traders than on a time constant the venue chose.
- #microstructure
- #derivatives
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Pricing event contracts
A binary contract looks like the simplest instrument in finance. That apparent simplicity is what breaks tooling built for continuous assets.
- #microstructure
- #prediction-markets
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Why we stay small
The industry equates seriousness with size. We took the opposite bet, and this is the case for it.
- #engineering
- #team
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Why we build in-house
Most of our trading stack is software we wrote ourselves - and why Python and Rust sit on opposite sides of a deliberately narrow line.
- #infrastructure
- #engineering
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Latency budgets for systematic strategies
How to think about end-to-end latency budgets when your edge depends on neither being first nor last.
- #infrastructure
- #execution
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Notes on non-stationarity in crypto perpetual funding
An informal survey of how funding-rate dynamics evolve across regimes and the implications for modelling.
- #microstructure
- #crypto